Yes indeed. I use a parser plate and pre-cut shield made by Leading Edge Fabrication (they have many different parser plate/shield combos you can buy) - good quality and fairly cheap.
I set up my dremel tool on a cheap drill press stand and I fabricated a mount for a dial indicator (so I know I am only drilling down .040 deep). I then created a simple jig to hold the scale with the parser plate clamped to the top of it. I put that clamped up scale/parser plate under the dremel drill press and plunge down .040 deep (or however thick my shield is) and then rout out the material. I use a small bit. I will then take a small chisel and clean up the corners to make them nice and sharp. The shield will pop right in place.